Looking Up for Monday
By
Rennie on Sunday, October 4th, 2009 at 4:06 pm
An interesting point from a short-term perspective is that despite Friday’s selloff, with a lower high, low and close for the S&P, the number of stocks closing over their upper bollinger bands increased while the number of stocks that closed under their lower band decreased (see chart). As was the case last Friday when the same pattern occurred, this can be a sign of waning downside momentum. The last thirty times we’ve seen this pattern are listed in the table below. In 22 cases, or 73% of the time, the S&P closed at a higher level two sessions later, significantly above the 52% random odds for a higher S&P close two sessions later in the same time frame…
Lower High, Low & Close for S&P500,
#Stocks >Upper Band Increase, # <Lower Band Decrease
10/02/09… S&P500 ??? two sessions later
09/25/09… S&P500 +1.6% two sessions later
09/02/09… S&P500 +2.2% two sessions later
07/10/09… S&P500 +3.0% two sessions later
07/08/09… S&P500 -0.1% two sessions later
06/17/09… S&P500 +1.2% two sessions later
06/16/09… S&P500 +0.7% two sessions later
04/28/09… S&P500 +2.1% two sessions later
02/27/09… S&P500 -5.3% two sessions later
02/02/09… S&P500 +0.8% two sessions later
10/10/08… S&P500 +11.0% two sessions later
09/23/08… S&P500 +1.8% two sessions later
09/03/08… S&P500 -2.6% two sessions later
08/13/08… S&P500 +1.0% two sessions later
07/15/08… S&P500 +3.7% two sessions later
06/27/08… S&P500 +0.5% two sessions later
06/03/08… S&P500 +1.9% two sessions later
04/14/08… S&P500 +2.7% two sessions later
02/06/08… S&P500 +0.4% two sessions later
01/16/08… S&P500 -3.5% two sessions later
12/31/07… S&P500 -1.4% two sessions later
11/08/07… S&P500 -2.4% two sessions later
06/26/07… S&P500 +0.9% two sessions later
01/26/07… S&P500 +0.5% two sessions later
11/02/06… S&P500 +0.9% two sessions later
09/07/06… S&P500 +0.4% two sessions later
06/06/06… S&P500 -0.5% two sessions later
05/18/06… S&P500 +0.0% two sessions later
03/31/06… S&P500 +0.9% two sessions later
02/03/06… S&P500 -0.7% two sessions later
12/20/05… S&P500 +0.7% two sessions later
Also supportive for a short-term bounce is the fact that volume was down again on Friday despite the 2-1 negative breadth. That’s the second time in the last three sessions that we’ve seen lopsided negative breadth on decreasing volume, usually a short-term bullish sign. The table below lists each of the last thirty instances in which NYSE breadth closed at least 2:1 negative and NYSE volume declined from the previous session on two occasions within a three-day time frame…
Breadth 2:1 Negative, Volume Declines Two Days out of Past Three
10/02/09… ???
07/07/09… Higher S&P close two sessions later
04/07/09… Higher S&P close one session later
03/03/09… Higher S&P close one session later
01/09/09… No higher close next 1-2 sessions
11/17/08… Higher S&P close one session later
10/27/08… Higher S&P close one session later
10/09/08… Higher S&P close two sessions later
09/23/08… Higher S&P close two sessions later
07/28/08… Higher S&P close one session later
03/10/08… Higher S&P close one session later
11/21/07… Higher S&P close one session later
11/19/07… Higher S&P close one session later
11/12/07… Higher S&P close one session later
07/14/06… Higher S&P close two sessions later
08/05/05… Higher S&P close two sessions later
07/21/03… Higher S&P close one session later
01/27/03… Higher S&P close one session later
10/09/02… Higher S&P close one session later
09/23/02… Higher S&P close two sessions later
08/05/02… Higher S&P close one session later
07/22/02… Higher S&P close two sessions later
01/14/99… Higher S&P close one session later
08/03/98… No higher close next 1-2 sessions
07/27/98… No higher close next 1-2 sessions
06/15/98… Higher S&P close one session later
04/24/98… No higher close next 1-2 sessions
07/21/97… Higher S&P close one session later
05/11/94… Higher S&P close one session later
09/26/90… Higher S&P close two sessions later
09/24/90… Higher S&P close one session later
Note that in 26 out of 30 cases, or 87% of the time, the S&P500 posted a higher close (above the setup day’s close) within the next two sessions, significantly above the 66% at-any-time odds for a higher S&P close within the next two sessions.
Frank at TradingtheOdds.com points out that S&P futures closed below the previous day’s low the last three consecutive sessions, tilting the odds in favor of a higher close on Monday. The last thirty separate occurrences of this pattern are listed in the table below (‘separate’ meaning the pattern wasn’t in effect the session before). In 23 out of the last 30 occurrences, or 77% of the time, the S&Ps closed higher the next day, significantly above the 53% at-any-time odds for a higher S&P one session later…
S&P Futures Close < Previous Day’s Low x3
10/02/09… S&P futures ??? next day
09/02/09… S&P futures +0.8% next day
06/17/09… S&P futures +0.9% next day
03/03/09… S&P futures +2.7% next day
10/06/08… S&P futures -4.5% next day
03/28/08… S&P futures +0.4% next day
03/10/08… S&P futures +3.8% next day
01/17/08… S&P futures -1.1% next day
10/12/05… S&P futures -0.0% next day
10/06/05… S&P futures +0.3% next day
08/08/05… S&P futures +0.6% next day
01/24/05… S&P futures +0.3% next day
01/05/05… S&P futures +0.4% next day
10/14/04… S&P futures +0.5% next day
07/16/04… S&P futures -0.4% next day
05/10/04… S&P futures +0.8% next day
04/30/04… S&P futures +0.9% next day
03/10/04… S&P futures -1.3% next day
02/20/04… S&P futures -0.3% next day
11/18/03… S&P futures +0.8% next day
09/26/03… S&P futures +1.0% next day
01/22/03… S&P futures +0.6% next day
11/11/02… S&P futures +0.8% next day
10/07/02… S&P futures +1.6% next day
09/19/02… S&P futures +0.1% next day
08/05/02… S&P futures +3.2% next day
07/22/02… S&P futures -2.8% next day
06/21/02… S&P futures +0.5% next day
05/30/02… S&P futures +0.2% next day
05/07/02… S&P futures +3.7% next day
04/24/02… S&P futures +0.1% next day
The CBOE equity put/call ratio closed at a high .84, the highest reading in three months and more than 25% above the 10-day moving average. This suggests a bounce on Monday could be met with another push lower. See this September 25th column for details.
Looking Up for Monday
By Rennie on Sunday, October 4th, 2009 at 4:06 pmAn interesting point from a short-term perspective is that despite Friday’s selloff, with a lower high, low and close for the S&P, the number of stocks closing over their upper bollinger bands increased while the number of stocks that closed under their lower band decreased (see chart). As was the case last Friday when the same pattern occurred, this can be a sign of waning downside momentum. The last thirty times we’ve seen this pattern are listed in the table below. In 22 cases, or 73% of the time, the S&P closed at a higher level two sessions later, significantly above the 52% random odds for a higher S&P close two sessions later in the same time frame…
Lower High, Low & Close for S&P500,
#Stocks >Upper Band Increase, # <Lower Band Decrease
10/02/09… S&P500 ??? two sessions later
09/25/09… S&P500 +1.6% two sessions later
09/02/09… S&P500 +2.2% two sessions later
07/10/09… S&P500 +3.0% two sessions later
07/08/09… S&P500 -0.1% two sessions later
06/17/09… S&P500 +1.2% two sessions later
06/16/09… S&P500 +0.7% two sessions later
04/28/09… S&P500 +2.1% two sessions later
02/27/09… S&P500 -5.3% two sessions later
02/02/09… S&P500 +0.8% two sessions later
10/10/08… S&P500 +11.0% two sessions later
09/23/08… S&P500 +1.8% two sessions later
09/03/08… S&P500 -2.6% two sessions later
08/13/08… S&P500 +1.0% two sessions later
07/15/08… S&P500 +3.7% two sessions later
06/27/08… S&P500 +0.5% two sessions later
06/03/08… S&P500 +1.9% two sessions later
04/14/08… S&P500 +2.7% two sessions later
02/06/08… S&P500 +0.4% two sessions later
01/16/08… S&P500 -3.5% two sessions later
12/31/07… S&P500 -1.4% two sessions later
11/08/07… S&P500 -2.4% two sessions later
06/26/07… S&P500 +0.9% two sessions later
01/26/07… S&P500 +0.5% two sessions later
11/02/06… S&P500 +0.9% two sessions later
09/07/06… S&P500 +0.4% two sessions later
06/06/06… S&P500 -0.5% two sessions later
05/18/06… S&P500 +0.0% two sessions later
03/31/06… S&P500 +0.9% two sessions later
02/03/06… S&P500 -0.7% two sessions later
12/20/05… S&P500 +0.7% two sessions later
Also supportive for a short-term bounce is the fact that volume was down again on Friday despite the 2-1 negative breadth. That’s the second time in the last three sessions that we’ve seen lopsided negative breadth on decreasing volume, usually a short-term bullish sign. The table below lists each of the last thirty instances in which NYSE breadth closed at least 2:1 negative and NYSE volume declined from the previous session on two occasions within a three-day time frame…
Breadth 2:1 Negative, Volume Declines Two Days out of Past Three
10/02/09… ???
07/07/09… Higher S&P close two sessions later
04/07/09… Higher S&P close one session later
03/03/09… Higher S&P close one session later
01/09/09… No higher close next 1-2 sessions
11/17/08… Higher S&P close one session later
10/27/08… Higher S&P close one session later
10/09/08… Higher S&P close two sessions later
09/23/08… Higher S&P close two sessions later
07/28/08… Higher S&P close one session later
03/10/08… Higher S&P close one session later
11/21/07… Higher S&P close one session later
11/19/07… Higher S&P close one session later
11/12/07… Higher S&P close one session later
07/14/06… Higher S&P close two sessions later
08/05/05… Higher S&P close two sessions later
07/21/03… Higher S&P close one session later
01/27/03… Higher S&P close one session later
10/09/02… Higher S&P close one session later
09/23/02… Higher S&P close two sessions later
08/05/02… Higher S&P close one session later
07/22/02… Higher S&P close two sessions later
01/14/99… Higher S&P close one session later
08/03/98… No higher close next 1-2 sessions
07/27/98… No higher close next 1-2 sessions
06/15/98… Higher S&P close one session later
04/24/98… No higher close next 1-2 sessions
07/21/97… Higher S&P close one session later
05/11/94… Higher S&P close one session later
09/26/90… Higher S&P close two sessions later
09/24/90… Higher S&P close one session later
Note that in 26 out of 30 cases, or 87% of the time, the S&P500 posted a higher close (above the setup day’s close) within the next two sessions, significantly above the 66% at-any-time odds for a higher S&P close within the next two sessions.
Frank at TradingtheOdds.com points out that S&P futures closed below the previous day’s low the last three consecutive sessions, tilting the odds in favor of a higher close on Monday. The last thirty separate occurrences of this pattern are listed in the table below (‘separate’ meaning the pattern wasn’t in effect the session before). In 23 out of the last 30 occurrences, or 77% of the time, the S&Ps closed higher the next day, significantly above the 53% at-any-time odds for a higher S&P one session later…
S&P Futures Close < Previous Day’s Low x3
10/02/09… S&P futures ??? next day
09/02/09… S&P futures +0.8% next day
06/17/09… S&P futures +0.9% next day
03/03/09… S&P futures +2.7% next day
10/06/08… S&P futures -4.5% next day
03/28/08… S&P futures +0.4% next day
03/10/08… S&P futures +3.8% next day
01/17/08… S&P futures -1.1% next day
10/12/05… S&P futures -0.0% next day
10/06/05… S&P futures +0.3% next day
08/08/05… S&P futures +0.6% next day
01/24/05… S&P futures +0.3% next day
01/05/05… S&P futures +0.4% next day
10/14/04… S&P futures +0.5% next day
07/16/04… S&P futures -0.4% next day
05/10/04… S&P futures +0.8% next day
04/30/04… S&P futures +0.9% next day
03/10/04… S&P futures -1.3% next day
02/20/04… S&P futures -0.3% next day
11/18/03… S&P futures +0.8% next day
09/26/03… S&P futures +1.0% next day
01/22/03… S&P futures +0.6% next day
11/11/02… S&P futures +0.8% next day
10/07/02… S&P futures +1.6% next day
09/19/02… S&P futures +0.1% next day
08/05/02… S&P futures +3.2% next day
07/22/02… S&P futures -2.8% next day
06/21/02… S&P futures +0.5% next day
05/30/02… S&P futures +0.2% next day
05/07/02… S&P futures +3.7% next day
04/24/02… S&P futures +0.1% next day
The CBOE equity put/call ratio closed at a high .84, the highest reading in three months and more than 25% above the 10-day moving average. This suggests a bounce on Monday could be met with another push lower. See this September 25th column for details.